The role of information in a two-traders market

Research output: Contribution to journalArticle

9 Citations (Scopus)

Abstract

In a very simple stock market, made by only two initially equivalent traders, we discuss how the information can affect the performance of the traders. More in detail, we first consider how the portfolios of the traders evolve in time when the market is closed. After that, we discuss two models in which an interaction with the outer world is allowed. We show that, in this case, the two traders behave differently, depending on (i) the amount of information which they receive from outside; and (ii) the quality of this information.
Original languageEnglish
Pages (from-to)224-233
Number of pages10
JournalPHYSICA. A
Volume404
Publication statusPublished - 2014

Fingerprint

Stock Market
Closed
Interaction
Market
interactions
Model

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Condensed Matter Physics

Cite this

The role of information in a two-traders market. / Bagarello, Fabio; Haven.

In: PHYSICA. A, Vol. 404, 2014, p. 224-233.

Research output: Contribution to journalArticle

Bagarello, Fabio ; Haven. / The role of information in a two-traders market. In: PHYSICA. A. 2014 ; Vol. 404. pp. 224-233.
@article{98ce09453aad4ef7aaa64b43a0b6bdba,
title = "The role of information in a two-traders market",
abstract = "In a very simple stock market, made by only two initially equivalent traders, we discuss how the information can affect the performance of the traders. More in detail, we first consider how the portfolios of the traders evolve in time when the market is closed. After that, we discuss two models in which an interaction with the outer world is allowed. We show that, in this case, the two traders behave differently, depending on (i) the amount of information which they receive from outside; and (ii) the quality of this information.",
author = "Fabio Bagarello and Haven",
year = "2014",
language = "English",
volume = "404",
pages = "224--233",
journal = "Physica A: Statistical Mechanics and its Applications",
issn = "0378-4371",
publisher = "Elsevier",

}

TY - JOUR

T1 - The role of information in a two-traders market

AU - Bagarello, Fabio

AU - Haven, null

PY - 2014

Y1 - 2014

N2 - In a very simple stock market, made by only two initially equivalent traders, we discuss how the information can affect the performance of the traders. More in detail, we first consider how the portfolios of the traders evolve in time when the market is closed. After that, we discuss two models in which an interaction with the outer world is allowed. We show that, in this case, the two traders behave differently, depending on (i) the amount of information which they receive from outside; and (ii) the quality of this information.

AB - In a very simple stock market, made by only two initially equivalent traders, we discuss how the information can affect the performance of the traders. More in detail, we first consider how the portfolios of the traders evolve in time when the market is closed. After that, we discuss two models in which an interaction with the outer world is allowed. We show that, in this case, the two traders behave differently, depending on (i) the amount of information which they receive from outside; and (ii) the quality of this information.

UR - http://hdl.handle.net/10447/95763

UR - http://www.sciencedirect.com/science/article/pii/S0378437114001617

M3 - Article

VL - 404

SP - 224

EP - 233

JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

SN - 0378-4371

ER -